onlineforecast: An R package for adaptive and recursive forecasting

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Abstract

Systems that rely on forecasts to make decisions, e.g. control or energy trading systems, require frequent updates of the forecasts. Usually, the forecasts are updated whenever new observations become available, hence in an online setting. We present the R package onlineforecast that provides a generalized setup of data and models for online forecasting. It has functionality for time-adaptive fitting of linear regression-based models. Furthermore, dynamical and non-linear effects can be easily included in the models. The setup is tailored to enable effective use of forecasts as model inputs, e.g. numerical weather forecast. Users can create new models for their particular system applications and run models in an operational online setting. The package also allows users to easily replace parts of the setup, e.g. use kernel or neural network methods for estimation. The package comes with comprehensive vignettes and examples of online forecasting applications in energy systems, but can easily be applied in all fields where online forecasting is used.
Original languageEnglish
JournalJournal of Statistical Software
Number of pages36
ISSN1548-7660
Publication statusSubmitted - 2022

Keywords

  • Recursive estimation
  • Adaptive
  • Non-linear transformation
  • Time series
  • Energy
  • Online Forecasting
  • Prediction
  • R

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